XP Prof' BACKUP

My OS is XP Prof' upgraded from 98SE.When using the Windows backup Wizard I am attempting to backup "All information on this computer" to a 2GB memory stick on one of the front USB2 connections.At approx' 2GB I obviously get the message "There is not enough room on the disk.Please insert a different disk." followed by the message "Please insert a new disk for E"After inserting a new memory stick in the front USB2 I get the message "Folder E:does not exist.Do you want to create it now." Regardless of whether I click on "Yes" or "No" this message keeps repeating itself.I virtually have to switch off the PC to delete.How can I complete the backup process?